2020 / September Volume 15 No.3
On the Existence and Uniqueness of Solutions to Forward Backward Stochastic Differential Equations Driven by G-brownian Motion
| Published Date |
2020 / September
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|---|---|
| Title | On the Existence and Uniqueness of Solutions to Forward Backward Stochastic Differential Equations Driven by G-brownian Motion |
| Author | |
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| Pagination | 217-236 |
| Abstract | In this paper, we study the existence and the uniqueness of solution of coupled G-forward-backward stochastic differential equations (G-FBDSEs in short). Our systems are described by coupled multi-dimensional G-FBDSEs. We construct a mapping for which the fixed point is the solution of our G-FBSDE, where we prove that this mapping is a contraction. In this paper we do not require the monotonicity condition to prove the
existence.
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| DOI | |
| AMS Subject Classification |
60H05, 60H10
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| Received |
2020-09-28
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| Accepted |
2020-09-28
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